User profiles for Jing‐Zhi Huang
Jing-Zhi HuangDepartment of Finance, Smeal College of Business, Penn State University Verified email at psu.edu Cited by 5940 |
How much of the corporate-treasury yield spread is due to credit risk?
JZ Huang, M Huang - The Review of Asset Pricing Studies, 2012 - academic.oup.com
We show that credit risk accounts for only a small fraction of yield spreads for investment-grade
bonds of all maturities, with the fraction lower for bonds of shorter maturities, and that it …
bonds of all maturities, with the fraction lower for bonds of shorter maturities, and that it …
Structural models of corporate bond pricing: An empirical analysis
This article empirically tests five structural models of corporate bond pricing: those of Merton
(1974) , Geske (1977) , Longstaff and Schwartz (1995) , Leland and Toft (1996) , and Collin-…
(1974) , Geske (1977) , Longstaff and Schwartz (1995) , Leland and Toft (1996) , and Collin-…
Pricing and hedging American options: a recursive integration method
J Huang, MG Subrahmanyam… - The Review of Financial …, 1996 - academic.oup.com
In this article, we present a new method for pricing and hedging American options along with
an efficient implementation procedure. The proposed method is efficient and accurate in …
an efficient implementation procedure. The proposed method is efficient and accurate in …
Specification analysis of option pricing models based on time‐changed Lévy processes
We analyze the specifications of option pricing models based on time‐changed Lévy processes.
We classify option pricing models based on the structure of the jump component in the …
We classify option pricing models based on the structure of the jump component in the …
The information content of Basel III liquidity risk measures
We present a comprehensive analysis to calculate the Basel III liquidity coverage ratio (LCR)
and the net stable funding ratio (NSFR) of US commercial banks using Call Report data …
and the net stable funding ratio (NSFR) of US commercial banks using Call Report data …
[HTML][HTML] Monolithic integration of embedded III-V lasers on SOI
Silicon photonic integration has gained great success in many application fields owing to
the excellent optical device properties and complementary metal-oxide semiconductor (CMOS) …
the excellent optical device properties and complementary metal-oxide semiconductor (CMOS) …
Inflation risk premium: Evidence from the TIPS market
OV Grishchenko, JZ Huang - 2011 - papers.ssrn.com
Inflation-indexed securities would appear to be the most direct source of information about
inflation expectations and real interest rates"(Bernanke, 2004). In this paper we study the term …
inflation expectations and real interest rates"(Bernanke, 2004). In this paper we study the term …
Liquidity effects in corporate bond spreads
Corporate bond spreads are affected by both credit risk and liquidity and it is difficult to
disentangle the two factors empirically. In this paper we separate out the credit risk component by …
disentangle the two factors empirically. In this paper we separate out the credit risk component by …
[HTML][HTML] Predicting bitcoin returns using high-dimensional technical indicators
JZ Huang, W Huang, J Ni - The Journal of Finance and Data Science, 2019 - Elsevier
There has been much debate about whether returns on financial assets, such as stock
returns or commodity returns, are predictable; however, few studies have investigated …
returns or commodity returns, are predictable; however, few studies have investigated …
[HTML][HTML] Management of heterotopic pregnancy: experience from 1 tertiary medical center
JB Li, LZ Kong, JB Yang, G Niu, L Fan, JZ Huang… - Medicine, 2016 - journals.lww.com
The objective of this study is to summarize the experiences of our department in the
management of heterotopic pregnancy (HP) and to analyze the influence of different …
management of heterotopic pregnancy (HP) and to analyze the influence of different …